I used to use compressors but found they just make it easier for you to play when you really only need more practice - to a certain degree certainly.
In any case, I love the sound of the EBS Multicomp on "tube mode". I think it's supposed to be a bass compressor, but it has different modes and sounds great, also works a bit as a slight overdrive in "tube mode". Unfortunately, it's not exactly cheap.
Wah, modulation, overdrives. Those are the main pedals.
I'd just go with pedals your favorite artists use. Why? Because there are just so many pedals on the market, it's easier just to pick an artist whose sound you like as a point of orientation.